VWAP TOOL KIT (RyanTradesES)

VWAP TOOL KIT — RyanTradesES

The VWAP Tool Kit is a session-aware, intraday market structure indicator designed for futures and active index traders who rely on VWAP, opening range behavior, and RTH context to frame high-probability trades.

This tool consolidates multiple VWAP regimes, key session levels, and adaptive EMA smoothing into a single, clean overlay—removing the need to stack multiple indicators or scripts.

Core Features

Opening Range (9:30–9:45 NY)

Automatically tracks and shades the Opening Range

Extends through RTH to provide a clear structural reference

Rendered behind price for clarity (non-intrusive)

VWAP Suite

Overnight VWAP (resets at 6:00 PM NY)

24-Hour NY VWAP (resets at 9:30 AM NY)

Previous Day NY VWAP (calculated from prior RTH)

Anchored VWAP with manual date/time control
Each VWAP can be independently enabled, styled, and sourced.

RTH High / Low

Tracks Regular Trading Hours (9:30–16:00 NY)

Updates dynamically and resets daily

Useful for range expansion, rejection, and bias confirmation

EMA + Advanced Smoothing

Base EMA with adjustable length, source, and offset

Optional EMA-based smoothing layer:

SMA

EMA

RMA (SMMA)

WMA

VWMA

SMA + Bollinger Bands

Bollinger Bands adapt directly to EMA behavior, not raw price

Legend / HUD

Compact, auto-updating legend in the chart corner

Displays only active modules

Fully optional and customizable

Design Philosophy

This indicator is built for clarity and context, not signals.
It is meant to help traders:

Identify VWAP acceptance vs rejection

Frame bias using session structure

Align EMA behavior with VWAP positioning

Reduce chart clutter while increasing information density

All components are modular—use everything, or only what fits your strategy.

Recommended Use

Intraday futures (ES, NQ, RTY, YM)

VWAP-based mean reversion and trend continuation

Opening range and RTH structure trading

Discretionary or rules-based execution

Notes

Times are calculated using New York session logic

This indicator does not generate trade signals

Designed for educational and analytical use

How I Personally Use This

I use this tool primarily for context, not entries. My focus is on how price behaves around the Overnight VWAP, 24H NY VWAP, and Previous Day VWAP during the first part of RTH. I pay close attention to whether price is accepting above or below VWAPs rather than crossing them. The Opening Range gives me an early framework for volatility and directional intent, while RTH High/Low helps me stay aware of where price is expanding versus stalling. The EMA and smoothing layer are used to judge momentum quality—when EMA structure aligns with VWAP positioning, I’m more interested; when they diverge, I’m more patient.

Example Framework (Not Trade Advice)

One way this indicator can be used is by observing price behavior after the Opening Range is set. If price holds above the Overnight and 24H VWAPs and the EMA structure remains supportive, that suggests stronger acceptance during RTH. In contrast, repeated failure to reclaim VWAP levels while EMA smoothing rolls over may indicate weakening participation. Anchored VWAP can be used to measure response around specific events such as session opens, highs/lows, or high-volume turns. This framework is intended to help structure decisions, not automate them.